There's a HTC widget for wi-fi that makes turning it on and off really easy, stick it on one of your home screens.
I'm not sure if it's useful, but the Hero has "Scenes" - these are different configurations of your home screens. So you could have one for work that would maybe show your work email, stock quotes and other work stuff, but you could also have a home scene that would have the twitter widget, bookmarks to sites you may not want to be seen browsing at work, and other non-work stuff.
I'm not sure if scenes also control phone settings, but if they do, theoretically you could set it up so that when you left the house and changed scene, your wifi would be turned off. Same, when you get home and switch to the home scene, wifi is switched back on.
Like I say, not sure that works, however, I think there is an app that lets you specify phone settings depending on your location (as determined by GPS). Of course, then your phone is using GPS and so draining the battery a bit more
But I'm sure the app does something clever to avoid draining the battery too much!